Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1653 |
| Annualized Std Dev | 0.3524 |
| Annualized Sharpe (Rf=0%) | 0.4691 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3200.0000 |
| NAs | 1.0000 |
| Minimum | -0.2062 |
| Quartile 1 | -0.0088 |
| Median | 0.0017 |
| Arithmetic Mean | 0.0009 |
| Geometric Mean | 0.0006 |
| Quartile 3 | 0.0116 |
| Maximum | 0.1665 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0016 |
| Variance | 0.0005 |
| Stdev | 0.0222 |
| Skewness | -0.5329 |
| Kurtosis | 9.3588 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0164 |
| Gain Deviation | 0.0149 |
| Loss Deviation | 0.0181 |
| Downside Deviation (MAR=210%) | 0.0203 |
| Downside Deviation (Rf=0%) | 0.0161 |
| Downside Deviation (0%) | 0.0161 |
| Maximum Drawdown | 0.7217 |
| Historical VaR (95%) | -0.0324 |
| Historical ES (95%) | -0.0551 |
| Modified VaR (95%) | -0.0347 |
| Modified ES (95%) | -0.0717 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2011-04-29 | -0.7217 | 845 | 310 | 535 |
| 2020-02-21 | 2020-03-23 | 2020-08-17 | -0.5714 | 124 | 22 | 102 |
| 2018-01-24 | 2018-12-24 | 2019-12-16 | -0.3869 | 452 | 206 | 246 |
| 2011-07-08 | 2011-10-04 | 2012-02-09 | -0.2631 | 145 | 58 | 87 |
| 2015-08-11 | 2015-08-24 | 2015-10-22 | -0.2052 | 41 | 8 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 1.6 | -0.4 | 1.1 | 1.2 | 1 | -0.6 | 2 | 0.9 | -1 | 0.5 | -1.2 | 5.3 |
| 2008 | 2.8 | -4 | 1.8 | 1.7 | 0.9 | -0.5 | 1 | -1.9 | 1.7 | 1.5 | -11.6 | 2 | -5.5 |
| 2009 | -6.8 | -1.1 | 3.1 | -0.3 | 3.8 | 3.6 | 0.5 | -2.9 | -2.6 | -4.1 | 3.1 | -0.7 | -4.9 |
| 2010 | 1.6 | 1.3 | 0.9 | -1.8 | -1.9 | 0.2 | -0.5 | 3.9 | 0.3 | -0.1 | 3 | 0.3 | 7.2 |
| 2011 | 2.5 | 0.4 | 1.4 | 1.1 | -2.4 | 2.1 | -1.8 | -1.1 | -3.3 | -6.6 | -0.1 | -0.6 | -8.4 |
| 2012 | 2 | 0.1 | 2.4 | 1.9 | -5.5 | 3.4 | -0.1 | 0 | -0.9 | 1.2 | 0.3 | -0.5 | 4 |
| 2013 | -0.4 | -0.7 | -0.2 | 0 | -3.5 | 2.3 | 1.6 | 1.3 | -2.6 | -0.3 | 0.2 | 1.6 | -0.8 |
| 2014 | -2.1 | -0.1 | 0.3 | 2.5 | 0.5 | 0.9 | 0.4 | 1.2 | -0.9 | 1.2 | -2.4 | -0.2 | 1.3 |
| 2015 | -1.4 | 0.2 | -3 | 1.4 | -0.6 | 0.9 | -0.8 | -4.4 | 2.8 | -1 | 0.9 | -1.5 | -6.4 |
| 2016 | 3.3 | 2.3 | 2 | -0.4 | 1.2 | 2 | 0 | 0.3 | 1.7 | -1.7 | -1.6 | -0.4 | 8.8 |
| 2017 | -0.4 | 1.8 | -0.7 | -0.8 | 0.1 | 3.1 | -0.8 | 0.5 | 0.2 | 0.1 | 0.1 | -0.4 | 2.9 |
| 2018 | -0.9 | -3.8 | 2.1 | -3 | 1 | 1.6 | -0.5 | -0.1 | 0.4 | 0.2 | 1.7 | -0.1 | -1.5 |
| 2019 | -0.5 | 0.5 | 0.9 | -2 | -3 | 1 | -2.1 | 0 | -0.9 | 0.7 | -0.4 | 0.4 | -5.1 |
| 2020 | -2.4 | -4.8 | -6.9 | -5.1 | 2.5 | 0.2 | -1.2 | -1.4 | 2 | -3.8 | 2.5 | 1.2 | -16.4 |
| 2021 | 3.1 | 3.8 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 11.9 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-05 11.9 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
3 2007-02-06 11.9 SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
4 2007-02-07 11.9 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 11.8 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-13 11.8 SPY 145. 8.40e-3 -0.0016 0.0099 0.0469 0.142 0.246 0.298 GLD 65.8 0.0026 0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
